相关论文: Structural changes in the interbank market across …

Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network…

Core-periphery (CP) structure is an important meso-scale network property where nodes group into a small, densely interconnected {core} and a sparse {periphery} whose members primarily connect to the core rather than to each other. While…

The critical infrastructures of the nation such as the power grid and the communication network are highly interdependent. Also, it has been observed that there exists complex interdependent relationships between individual entities of the…

Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…

Sustainable financial markets play an important role in the functioning of human society. Still, the detection and prediction of risk in financial markets remain challenging and draw much attention from the scientific community. Here we…

This work explores the formation and propagation of systemic risks across traditional finance (TradFi) and decentralized finance (DeFi), offering a comparative framework that bridges these two increasingly interconnected ecosystems. We…

After the Fall of the Berlin Wall, Central Eastern European cities (CEEc) integrated the globalized world, characterized by a core-periphery structure and hierarchical interactions between cities. This article gives evidence of the…

In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors. To deeply investigate the risk contribution of insurers we…

In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…

This paper develops a continuous functional framework for analyzing contagion dynamics in financial networks, extending the Navier-Stokes-based approach to network-structured spatial processes. We model financial distress propagation as a…

Finding the dense regions in a graph is an important problem in network analysis. Core decomposition and truss decomposition address this problem from two different perspectives. The former is a vertex-driven approach that assigns density…

Certain crimes are hardly committed by individuals but carefully organised by group of associates and affiliates loosely connected to each other with a single or small group of individuals coordinating the overall actions. A common starting…

Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…

Intra-firm trade describes the trade between affiliated firms and is increasingly important as global production is fragmented. However, statistics and data on global intra-firm trade patterns are widely unavailable. This study proposes a…

We provide an empirical analysis of the network structure of the Austrian interbank market based on a unique data set of the Oesterreichische Nationalbank (OeNB). We show that the contract size distribution follows a power law over more…

A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…

We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more…

This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…

We propose an algorithm to capture emergent patterns in the cross-correlations of financial markets, highlighting regime changes on a global scale. In our approach, financial markets are viewed as complex adaptive systems, and multiscale…

We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of…